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Eric Swanson, UC Irvine Print
Thursday, 28 June 2018, 16:30 - 18:00

Joint with NBB, UCL, KULeuven and ULB

Eric Swanson, University of California, Irvine

 Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets

Abstract : I extend the methods of Gurkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009–15 U.S. zero lower bound (ZLB) period. I find that both forward guidance and LSAPs had substantial and highly statistically significant effects on medium-term Treasury yields, stock prices, and exchange rates, comparable in magnitude to the effects of the federal funds rate before the ZLB. Forward guidance was more effective than LSAPs at moving short-term Treasury yields, while LSAPs were more effective than forward guidance and the federal funds rate at moving longer-term Treasury and corporate bond yields. The effects of forward guidance announcements tend to die out over time, probably because those announcements have horizons of only a few quarters. In contrast, the effects of LSAP announcements seem to be completely persistent.

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Please reply by email to This e-mail address is being protected from spam bots, you need JavaScript enabled to view it if you wish to participate to this seminar or if you want to have an appointment with the speaker. In case you want to access the NBB Parking (rue Montagne aux Herbes potagères 41), please also provide us with your name and the license plate of your car. 

Location: NBB-Room A1, Entrance: Warmoesberg 61, 1000 Brussels
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